Afficher la pageAnciennes révisionsLiens de retourAjouter au livre.Exporter en PDFHaut de page Cette page est en lecture seule. Vous pouvez afficher le texte source, mais ne pourrez pas le modifier. Contactez votre administrateur si vous pensez qu'il s'agit d'une erreur. =====Course unit: Credit risk===== * Title in French: Risque de crédit * Course code: tba * ECTS credits: 1 * Teaching hours: 25h * Type: elective course * Language of instruction: English * Coordinator: Renaud Bourlès * Instructor(s): Bolanjiva Randrianarizafy (Natixis) **Brief description** This course is an elective course and is aimed at understanding the notion of credit risk and its role in banking regulation. **Learning outcomes** * Provide a panorama on banking regulation * Understand most basic financial instruments (loans, securitization, bonds etc.) **Course content** - Introduction: bonds and OTC transactions - Modeling defaults: structural models and ratings - Structured financing: plain-vanilla, asset financing, securitization etc. - Banking regulation on credit risk **Bibliography** * BRUYERE R., CONT R., FERY L., JAECK C. and SPITZ T. (2005) : Credit derivatives, Wiley. * GOURIEROUX C. et TIOMO, A. (2007) : Risque de crédit: une approche avancée, Economica. * MERTON R. (1998) : Continuous time finance, Blackwell Publishers. * SCHONBUCHER P. (2002) : Credit derivatives pricing models, Wiley. en/ricr.txt Dernière modification : 2019/01/10 17:13de cpouet